Emerging Market Spreads: Then Versus Now

46 Pages Posted: 6 Feb 2006

See all articles by Paolo Mauro

Paolo Mauro

International Monetary Fund (IMF)

Nathan Sussman

Hebrew University of Jerusalem

Yishay Yafeh

Hebrew University of Jerusalem - Jerusalem School of Business Administration; European Corporate Governance Institute (ECGI); Centre for Economic Policy Research (CEPR)

Multiple version iconThere are 3 versions of this paper

Date Written: November 2000

Abstract

This paper analyzes yield spreads on sovereign debt issued by emerging markets using modern data from the 1990s and newly-collected historical data on debt traded in London during 1870-1913, a previous golden era for international capital market integration. Applying several empirical approaches, we show that the co-movement of spreads across emerging markets is higher today than it was in the historical sample. We also show that sharp changes in spreads today tend to be mostly related to global events, whereas country-specific events played a bigger role in 1870-1913. Although we find some evidence that economic fundamentals, too, co-move more strongly today than at that earlier time, our interpretation of the results is that today`s investors pay less attention to country-specific events than their predecessors did in 1870-1913.

Keywords: Emerging markets, bond returns, international financial integration

JEL Classification: G15, N20

Suggested Citation

Mauro, Paolo and Sussman, Nathan and Yafeh, Yishay, Emerging Market Spreads: Then Versus Now (November 2000). IMF Working Paper No. 00/190, Available at SSRN: https://ssrn.com/abstract=880293

Paolo Mauro (Contact Author)

International Monetary Fund (IMF) ( email )

700 19th Street NW
Washington, DC 20431
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Nathan Sussman

Hebrew University of Jerusalem ( email )

Mount Scopus
Jerusalem 91905, Jerusalem 91905
Israel

Yishay Yafeh

Hebrew University of Jerusalem - Jerusalem School of Business Administration ( email )

Mount Scopus
Jerusalem 91905
Israel
+972 2 588 3081 (Phone)
+972 2 588 1341 (Fax)

HOME PAGE: http://bschool.huji.ac.il/facultye/yafeh/

European Corporate Governance Institute (ECGI)

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Belgium

HOME PAGE: http://www.ecgi.org

Centre for Economic Policy Research (CEPR)

London
United Kingdom

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